Single barrier option
A call or put that is switched off (knock-out) or on (knock-in) if the price touches a barrier before expiry.
Across the underlying
Greeks · 7
- 0.103119
- per 1 underlying unit
- −0.0164068
- per 1 underlying unit
- −0.104933
- per 1 vol point
- 0.0137082
- per day
- 0.0315334
- per 1% rate
- −0.0191049
- per 1 underlying unit and 1 vol point
- −0.00144285
- per 1 vol point
Model values for illustration, from fixed market data. They are not quotes.
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Up barriers sit above the price and down barriers below it. A knock-out ends worthless when the barrier is touched; a knock-in becomes an ordinary option only once it is.
A knock-out and a knock-in with the same terms add up to the plain option, which is why barrier options are cheaper than plain ones.
What you can change
The contract terms above. Market data, model parameters and numerical settings are fixed for this demo and shown with each result.
The Greeks
- Delta per 1 underlying unit
- How much the option's value changes when the underlying moves by 1 unit. It is the basic measure of directional exposure.
- Gamma per 1 underlying unit
- How much Delta changes when the underlying moves by 1 unit.
- Vega per 1 vol point
- How much the option's value changes when volatility rises by 1 point, for example from 20% to 21%.
- Theta per day
- How much the value changes as one calendar day passes, with everything else unchanged.
- Rho per 1% rate
- How much the value changes when interest rates rise by 1 percentage point.
- Vanna per 1 underlying unit and 1 vol point
- How much Delta changes when volatility rises by 1 point. It is also how much Vega changes when the underlying moves by 1 unit.
- Volga per 1 vol point
- How much Vega changes when volatility rises by 1 point. Also known as Vomma.
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